Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0001
Annualized Std Dev 0.1519
Annualized Sharpe (Rf=0%) -0.0010

Row

Daily Return Statistics

Close
Observations 5550.0000
NAs 1.0000
Minimum -0.2322
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.1225
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness -2.4215
Kurtosis 85.9830

Downside Risk

Close
Semi Deviation 0.0070
Gain Deviation 0.0072
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0120
Downside Deviation (Rf=0%) 0.0070
Downside Deviation (0%) 0.0070
Maximum Drawdown 0.4013
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0213
Modified VaR (95%) -0.0046
Modified ES (95%) -0.0046
From Trough To Depth Length To Trough Recovery
2002-07-12 2008-10-09 2012-10-01 -0.4013 2564 1564 1000
2016-09-16 2020-03-18 NA -0.3198 1135 881 NA
1999-05-03 2000-01-12 2002-07-10 -0.2118 778 171 607
2012-10-02 2013-12-11 2016-02-16 -0.1879 847 300 547
2016-03-04 2016-03-17 2016-06-27 -0.0729 80 10 70

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.8 0.8 0 0.4 0 0.8 -0.8 0.4 0 1.9 -1 0 3.4
2000 0.5 0.5 0.5 1.4 0.4 0.4 -0.4 0 0.4 0 0.5 1.4 5.6
2001 0.1 0.7 0.6 0.1 -0.2 0 0.3 -0.1 2 1 0.3 0.4 5.5
2002 0.4 0.1 0.9 0.9 0.3 1 0.5 0 1.1 -0.1 0 0.2 5.4
2003 -0.4 0.3 -0.4 -0.1 -0.1 0.5 0.2 0.2 0.1 0.2 0 -0.4 0
2004 -0.3 -0.1 -0.5 0.4 -0.2 0.7 0 -0.1 1.1 -0.4 1 0.5 2
2005 0.1 -0.1 0.6 0.4 0.9 0.1 0 0.2 -0.2 -0.1 0.1 0.3 2.4
2006 0.1 -0.4 0.4 0.1 -0.1 0.1 0 -0.1 -0.6 -0.1 -0.2 0.6 -0.1
2007 0.1 0.5 -0.7 -1 -1 -0.8 1.3 1.4 -0.1 1.7 -0.1 0.4 1.8
2008 0.3 0.1 -0.5 -0.2 -0.8 0.9 1.1 0.4 7.1 1.1 0 3.3 13.3
2009 0.2 0.4 0.3 0.8 0.4 0.2 1.8 0 0.4 -0.2 -0.6 0.4 4.2
2010 0.5 -0.2 0.5 0.3 0.5 0.1 0.3 0.1 -0.2 0.1 -0.3 0.9 2.5
2011 -0.2 0.1 0.3 0.7 -0.3 0.2 -0.2 -0.1 -0.4 0.2 2.4 0.1 2.8
2012 1.4 0.8 0.3 0.5 -0.3 0 0.1 -1.2 1.3 0.3 0.3 0.5 3.9
2013 0.4 -0.1 -0.3 1.5 -0.3 0.4 -0.7 0 0 -0.6 -0.7 0.2 -0.1
2014 0.2 -0.1 -0.3 0.7 -0.8 -0.3 -0.3 -0.5 0.5 0.8 0.1 0.5 0.6
2015 0.5 0.1 1 0.1 0.5 -1.1 0.5 0.6 0 0.6 0.1 -0.6 2.5
2016 -1 1 0 1.1 0.9 -0.3 0.8 0.2 -1 0.3 -1.6 0.5 0.9
2017 -0.4 0.4 -0.1 -1.2 -0.9 -0.6 1.2 -0.9 0.7 -0.3 -0.3 -0.2 -2.6
2018 0.4 0.1 0.1 0.1 -0.6 0.1 0 0.4 1.5 2 0.6 -0.5 4.3
2019 0.2 1.2 -0.4 -0.7 -0.2 0.2 0.2 0 0 2.3 0.3 0.6 3.7
2020 -0.2 0.3 -2.4 0.6 0.1 -1.3 0.6 -0.7 -0.2 -0.2 -0.9 0.4 -3.8
2021 -0.3 3.2 0.1 NA NA NA NA NA NA NA NA NA 3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart